Advice needed - Trend following system

[salvadorveiga]

Hello guys...

I have my own trend following systems... I've been using them for a bit now but now I want to constitute a fixed portfolio of assets.

under this scenario can you tell me really good markets that historically trend nicely?

So far I do have these assets:

- Crude Oil (historically seems to trend very well)
- EUR/USD
- GBP/USD
- An Index (most likely the german DAX .... it seems better than S&P, maybe you guys could give another ideas? )

- A Portuguese stock that trends very well....

That's what I have so far... maybe you guys could deliver some other good ideas... thanks

 

[jfroth82]

Have you looked at EURJPY and GBPJPY? They also trend very well.

 

[salvadorveiga]

Forex markets are characteristic for the trends but I didn't want to rely too much on FX.

Of course, I will take those into consideration... they may substitute another or I will just add one or 2 more pairs, but I didn't want the porftolio to be much concentrated on FX.

What about Natural gas ? Is it trendy? (Although it seems kind of expensive especially with the cotango now...) and probably isn't that liquid?

 

[amnonco]

just a quick note.

"market that trends well" means s#!T.
the best trend following systems use a wide diversification of markets.
the fact that a market trended well in the past doesn't mean it will trend well in the future and vice versa.

what you have to do is decide what portfolio of less correlated markets you want to trade.
instead of gbpusd and eurusd you can trade the $index.
and then go for some commodities, financials, energy etc. you should go for 10-15 markets (maybe more or less depends on your equity)

decide in advance, and don't pick correlated markets (like gold and silver, crude oil and other energy based market etc.).

good luck

 

[meanreversion]

They reckon markets trend 15-20 pct of the time, why is everyone always trying to follow a trend if it's hardly ever there. Turtle trading is great if you have the stomach for jagged equity curve and large numbers of sequential losses, but it's not for everyone.

 

[salvadorveiga]

just a quick note.

"market that trends well" means s#!T.
the best trend following systems use a wide diversification of markets.
the fact that a market trended well in the past doesn't mean it will trend well in the future and vice versa.

what you have to do is decide what portfolio of less correlated markets you want to trade.
instead of gbpusd and eurusd you can trade the $index.
and then go for some commodities, financials, energy etc. you should go for 10-15 markets (maybe more or less depends on your equity)

decide in advance, and don't pick correlated markets (like gold and silver, crude oil and other energy based market etc.).

good luck

i know that past trends mean sh*t...but an asset that for the previous years has a good history of trending is more likely to do so again in the future than one that hasn't... at least that's my opinion...

hey reckon markets trend 15-20 pct of the time, why is everyone always trying to follow a trend if it's hardly ever there. Turtle trading is great if you have the stomach for jagged equity curve and large numbers of sequential losses, but it's not for everyone.

Nobody here talked of turtle whatever...

 

[PualoP]

Have a look fixed income mate,

T Note
Bund
Gilt
JGB

 

[AyePee]

This thread is titled "Advice Needed", yet when Amnonco offers some advice, you tell he is wrong, and that you already have the answer (well, you call it your opinion).........do you want advice or not?

As far as I can tell, the answer Amnonco gave you is the best on this thread, and the one you will gain the most insight from.

Maybe you should consider if you want advice, or, are you looking reassurance that what you are doing is correct? If you want reassurance that you are correct, you will most likely struggle trading a trend following system, as most trend following systems are incorrect more often than they are correct.

Cheers,

AP

 

[chart rider]

Hi all,
The use of the word trend must be qualified. For example, if one looks at a very long chart for a major stock index (eg Dow, or closer to home for me, the XAO), one will find that the market trends upwards pretty much all the time. As one reduces the time frame, the trending becomes less consistent.
Thus, the percentage of time that a market trends depends upon the time frame.
Similarly, the concept of trend needs to be defined for the particular strategy. An EOD trader may look at the action of a market over a period of several weeks and impose the requirement that in order to consitute a trend the market must rise (or fall) 1% or more per week. A day trader may be looking at intra day trends and the system may define a market as trending up, when on an EOD basis the market is trending down (at the same time).

Salvadorveiga, you have asked a question without firstly defining what you call a trend. In addition, you stated that you have trend following systems but then were unable to find trending markets. This contradiction indicates that your systems are not yet fully developed, for it is the requirement of a system to:
1. identify the appropriate markets
2. identify the right times to trade respective to the associated time frame and
3. identify the right entry & exit levels

Perhaps it was this incompleteness of the systems that led to the original question, but unfortunately the question cannot be answered without first defining *trend*.

CR

 

[salvadorveiga]

thanks for all the answers... i did find a study and then i did one of my own as well which mostly confirmed the past historical trends.

I know past is not indicative of future, but is most likely to repeat. For example I would stay away from Wal-Mart for a trending system. Sure that from the 80's it turned out to be great if a TF system catched it but for the last 15 years it doesn't go very far, much due to its size.

Anyhow I found this study and then I re-did my own and ~I just modified a few things:

<<------------ ADX length ------------>>
5 10 20 50 100 200 500
rank days days days days days days days
==============================================
1 fei ff ff ff ff ff ff
2 ff fei lsu con con em con
3 con lsu ebm ebm em sxe em
4 ey em fei lsu ebm con nd
5 lsu ebm con em tu jgb sxe
6 rr con em tu ebl ed jgb
7 ebm ey ed ed ed ebm ed
8 em jgb jgb ebl lsu tu ebm
9 ebl rr tu fei jgb ebl tu
10 jgb ebl ebl jgb fv nd sxx
11 mb ed rr rr sxe lsu lsu
12 sjb tu ey oj fei sxx rl
13 ed fv fv fv rr fv ebl
14 tu sjb pn pn lkd sjb dj
15 fv pn lcc ey sjb lkd ey
16 us ty oj ty pn fei pn
17 dj us sjb ytt oj pa fv
18 ty lcc ty lkd pa ty sjb
19 bo mb fss lco ty lb kc
20 rl fss lco lcc nd pn ty
21 pn oj rl sjb lb rr pa
22 sb rl us fss ytt lcc fss
23 dx bo c pa lcc ytt lco
24 fc kw ytt lb us cu fei
25 c sb sb us cu oj lb
26 ng c kw sb lco gc lcc
27 cgb lco cgb nd gc kc cgb
28 s ng dx rl sb rl sp
29 kw dx mb cu fss fdx lkd
30 lc cgb lkd ct sxx o o
31 fss lh ct mb rl jy fdx
32 lcc cu mp kw jy w mb
33 oj lb lb jy sm fss us
34 lb cl bo sxe mb dj jy
35 pb dj cu cgb fdx sp kw
36 lh fc lh fc fc cgb ng
37 kc mp ng cl cgb us cd
38 cl s cl c w lco fch
39 lco lkd fc dx ey kw gc
40 cu pb pa mp sp mb fc
41 w ct s ng kw sm lh
42 hu ytt jy s ct fch ytt
43 nd sf sf sm sf sf cu
44 si w pb sf kc fc w
45 md hu nd lh s rs hg
46 gc flg sm kc o lh sm
47 sf lc flg bo dx ey rr
48 mp kc w gc lh hg oj
49 ct jy kc sp ng ng si
50 sp ho lc w cl s rs
51 ho nd dj fdx rs mp pl
52 lkd gc bp hg mp ct nk
53 flg sm gc bp bo sb cc
54 sm si lgo o bp pl ct
55 fdx pa ho rs hg cd mp
56 rs bp hu hu fch hu hu
57 cc rs sp pb pl bp md
58 ytt sp rs ytc hu cl dx
59 bp cc hg lc ytc ytc lc
60 jy lgo si flg c lc cl
61 hg hg fdx lgo lc dx sf
62 pa fdx ytc fch dj si lgo
63 cd md cc si si cc ytc
64 lgo cd o sxx pb bo s
65 o ytc sxe ho cd lgo sb
66 ytc o md dj lgo rz pb
67 fch fch cd pl flg pb bp
68 pl pl fch cc cc c ho
69 sxe sxe pl cd rz ho bo
70 ej ad ad md nk flg flg
71 sxx sxx sxx nk ho md ad
72 ad ej nk ad ad nk c
73 sy sy sy rz md ad sy
74 rz nk rz sy ej sy rz
75 nk rz ej ej sy ej ej


ad Australian Dollar
bo Soybean Oil
bp British Pound
c Corn
cc Cocoa
cd Canadian Dollar
cgb Canadian Govt Bond
cl Crude Oil
con Swiss Govt Bond
ct Cotton
cu Euro Currency (CME)
dj Dow Jones
dx US Dollar Index
ebl Euro Bund (eurex)
ebm Euro BOBL (eurex)
ed Eurodollars (CME)
ej Euro/JYen cross rate (FINEX)
em LIBOR (CME)
ey Euroyen (CME)
fc Feeder Cattle
fch CAC-40 stock index
fdx DAXX stock index
fei Euribor
ff Fed Funds
flg Long Gilt
fss Short Sterling
fv Five Year Tnotes
gc Gold
hg Copper
ho Heating Oil
hu Unleaded Gasoline
jgb Japan Govt Bond (TSE)
jy Japanese Yen
kc Coffee
kw Kansas City Wheat
lb Lumber
lc Live Cattle
lcc London Cocoa
lco Brent Crude Oil
lgo London Gas Oil
lh Lean Hogs
lkd London Coffee
lsu London White Sugar
mb Muni Bonds
md Midcap SP-400
mp Mexican Peso
nd Nasdaq
ng Natural Gas
nk Nikkei-225 (CME)
o Oats
oj Orange Juice
pa Palladium
pb Pork Bellies
pl Platinum
pn Propane
rl Russell-2000
rr Rough Rice
rs Rapeseed-Canola (WCE)
rz Euro/CHF cross rate
s Soybeans
sb Sugar
sf Swiss Franc
si Silver
sjb Singapore mini JGB
sm Soybean Meal
sp S&P 500
sxe DJ Euro-Stoxx
sxx DJ Stoxx
sy GBP/JPY cross rate
tu Two Year Tnotes
ty Ten Year Tnotes
us Bonds
w Wheat
ytc Australian 10yr bonds
ytt Australian 3yr bonds
_-_-_-_-_-_-_-_-_-_-_-_-_-_-_-

I do trade now a portfolio that consists of assets from energy markets (ie Oil), Currency markets (a few fx pairs), debt markets, agriculturals, and stocks from my country which the universe of stocks is pretty low (around 20 under the main index) and since it is a very peripheral market it tends to trend very well.

I thank everyone for their input.

Cheers and may you gain many points/pips, etc

 

[hellokimchi]

Could you post a link to that study? I did something similar myself a while ago but with less markets.